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High-volume return premium on the stock markets in Warsaw and Vienna

Author

Listed:
  • Tomasz Wójtowicz

    (AGH University of Science and Technology in Krakow)

Abstract

In this paper we analyze the properties of the high-volume return premium on the Warsaw Stock Exchange and on the Vienna Stock Exchange. The premium arises from the different behaviour of returns of stocks with unusually high trading volume and stocks with unusually low relative trading volume. The analysis of monthly returns confirms the existence of the high-volume return premium on the WSE and shows significantly positive returns of volume-based portfolios. Our study also indicates the insignificance of the high-volume return premium on the Vienna Stock Exchange, where an adverse effect of large companies is observed. The paper also examines possible factors that impact the magnitude of the premium on the WSE. We find that returns of volume portfolios depend on firms’ capitalization and momentum. However, the Fama-French four-factor asset pricing model does not explain the premium or the differences in returns of volume portfolios.

Suggested Citation

  • Tomasz Wójtowicz, 2017. "High-volume return premium on the stock markets in Warsaw and Vienna," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 375-402.
    • Handle: RePEc:nbp:nbpbik:v:48:y:2017:i:4:p:375-402
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    References listed on IDEAS

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    More about this item

    Keywords

    extreme volume; high-volume return premium; asset pricing; risk factors;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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